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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September US Dollar Index(ICE) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 22 24 24 24 24 24 24 24 24 24
Closed Higher   9 11 10 14 10 11 8 13 12 13 9
Exceeded High   7 8 8 11 9 10 7 11 11 9 4
Scenario Percentage   78% 73% 80% 79% 90% 91% 88% 85% 92% 69% 44%
Avg Max Increase   2.61% 3.02% 3.45% 2.86% 3.66% 3.56% 3.36% 2.84% 2.92% 3.05% 2.38%
Max Increase   5.41% 6.14% 8.79% 6.46% 11.65% 6.91% 7.43% 8.42% 6.58% 9.50% 3.74%
Avg Days To Max Increase   18 19 13 19 19 21 21 10 11 12 11
Avg Max Decline   -0.43% -0.94% -0.71% -1.38% -0.31% -1.12% -0.94% -1.05% -0.51% -0.68% -0.45%
Max Decline   -1.29% -2.09% -3.13% -2.62% -0.88% -3.11% -1.58% -1.98% -1.20% -1.51% -1.37%
Avg Days to Max Decline   9 14 5 8 13 12 8 7 6 4 2
2010 Contract Condition       Yes Yes Yes Yes Yes Yes Yes    
Action       Yes Yes Yes Yes Yes Not Yet      
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 22 24 24 24 24 24 24 24 24 24
Closed Lower   13 11 14 10 14 13 16 11 12 11 15
Penetrated Low   9 9 10 8 10 12 11 9 11 10 10
Scenario Percentage   69% 82% 71% 80% 71% 92% 69% 82% 92% 91% 67%
Avg Max Decline   4.31% 4.09% 3.00% 4.04% 3.60% 3.97% 4.03% 3.75% 3.56% 2.45% 2.10%
Max Decline   9.09% 7.55% 7.67% 6.83% 6.82% 7.71% 8.54% 8.15% 7.14% 5.04% 4.13%
Avg Days To Max Decline   22 17 14 17 21 16 13 19 16 9 7
Avg Max Increase   -0.19% -0.59% -0.68% -0.83% -1.23% -1.06% -0.47% -0.92% -0.54% -1.10% -0.19%
Max Increase   -1.30% -1.90% -1.40% -2.47% -5.25% -3.06% -1.72% -2.64% -1.67% -3.11% -1.21%
Avg Days to Max Increase   5 4 5 5 9 7 3 5 5 7 1
2010 Contract Condition   Yes Yes                  
Action   Yes No                  
High 77.915 77.985 77.290 78.995 80.255 81.520 82.715 83.060 87.925 87.875    
Low 76.865 75.720 75.045 75.070 76.850 79.960 80.130 80.510 82.410 86.595    
Close/Last 77.420 76.800 75.670 78.565 80.255 81.035 81.585 82.265 86.922 87.085    

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